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I used a couple kerosene heaters this past winter. One in the kitchen and one in the bedroom only as needed. Kerosene is still expensive but heat the area (room or two) you need to heat, not the whole house all the time. Saves lots of fuel by not heating rooms you don't need heated (if you currently use several rooms, cut it back to using as few as possible), and a kerosene heater is more efficient than a furnace since none of the heat goes up a chimney to the outdoors. Wear some heavier clothing (sweaters, heavy pants like wool) and heat to a lower temperature. When I'm on my own property I'll be using wood heat, as I've got 20 acres of woods to supply firewood, and government land next door I can get a permit to cut on...coal could be affordable in cities though if wood isn't. Anthracite isn't as dirty as the soft coal used years ago.
Have 2 or 3 good carbon monoxide detectors spread out through your home though, and remember to keep a safe distance between the heaters and any combustible materials, whether it's curtains, furniture or a picture on the wall that could fall and then catch fire. Fires can generally be prevented if you are simply careful.